This quest is a long one and you'll complete 3 and 4 along the way. Take the scroll to Cain, the last Horadrim who will translate it. He'll also tell you the next quest which is a three parter. First you'll need to get the Horadric Cube, then the Shaft, then the Head of the staff.
The Horadric Cube can be found in the Halls of the Dead. Head out of town to the Rocky Wastes, then to the Dry Hills where you can find the Halls of the Dead. Tip here about the second level of the Halls of the Dead, it's a really tough fight at the entrance, be prepared to die. Once you have the cube head back to Cain. The cube can hold more slots than it takes up so is a great bag, plus you can experiment to see what it can transmute.
The Shaft of the staff can be found in the Maggot Lair. This distasteful dungeon can be found in Far Oasis which is connected to the Dry Hills. It's a nasty little lair and if you are a melee fighter you are going to need some type of distance weaponry or lightening resistance. The boss at the bottom of the lair upon death will spread out a deadly substance on the floor so don't stand too close to him.
The Headpiece can be found in the Claw Viper Temple. Travel through Far Oasis to the Lost City then onto the Valley of the Serpents the temple can be found there. Head down into the temple, upon completing the quest you'll get the headpiece and complete Quest 3 at the same time.